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American Option Pricing with Stochastic Volatility by maheshvfx is a document available to read on EtoBox.
What is American Option Pricing with Stochastic Volatility about?
The document discusses pricing American call options when the underlying asset is driven by two independent stochastic volatility processes of the Heston type. It derives the partial differential equation for the option price using hedging arguments and Ito
- Author
- maheshvfx
- Language
- EN